Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/17952
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dc.contributor.authorQin, Duoen_US
dc.date.accessioned2009-01-28T15:05:10Z-
dc.date.available2009-01-28T15:05:10Z-
dc.date.issued2007en_US
dc.identifier.urihttp://hdl.handle.net/10419/17952-
dc.description.abstractThis study explores a new modelling approach to bridge the gap between the bilateral setting of one ?domestic? economy facing one ?foreign? entity in theory and multilateral country data in reality. Under the approach, purchasing power parity (PPP) is embedded in latent disequilibrium factors, being extracted from a large set of bilateral price disparities; the factors are then used as error-correction leading indicators to explain exchange rate and inflation. Modelling experiments on five OECD countries using monthly data show promising results, which reverse the common belief that PPP is at best a very long-run relationship at the macro level.en_US
dc.language.isoengen_US
dc.publisher|aKiel Institute for the World Economy (IfW) |cKiel-
dc.relation.ispartofseries|aEconomics Discussion Papers / Institut für Weltwirtschaft |x2007-29en_US
dc.subject.jelC22en_US
dc.subject.jelF31en_US
dc.subject.jelC33en_US
dc.subject.ddc330en_US
dc.subject.keywordPPPen_US
dc.subject.keywordlaw of one priceen_US
dc.subject.keyworddynamic factoren_US
dc.subject.keyworderror correctionen_US
dc.titleUncover Latent PPP by Dynamic Factor Error Correction Model (DF-ECM) Approach: Evidence from five OECD countriesen_US
dc.typeWorking Paperen_US
dc.identifier.ppn558295029en_US
dc.rights.licensehttp://creativecommons.org/licenses/by-nc/2.0/de/deed.en-
dc.identifier.repecRePEc:zbw:ifwedp:5734-

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